
Re: Simulation for the standard deviation
Posted:
Feb 28, 2013 12:35 AM


On Feb 27, 5:13 am, Cristiano <cristi...@NSgmail.com> wrote: > On 27/02/2013 9:09, Ray Koopman wrote: > >> The variance of the unbiased sample variance in samples of size n >> from a Uniform(0,1) distribution is (2n+3)/(360n(n1)). For n = 2 >> this reduces to 7/720 = .0097222... . > > But how can I use that formula to calculate the pvalue for > Var[s^2]? I should know the CDF of Var[s^2], right?
You can get a pvalue when n = 2, in which case sd = range/sqrt(2) and you can take advantage of the fact that we know the cdf of the range. Otherwise, unless someone can point you to the cdf of the sd (or, more likely, the variance), you'll have to get a Monte Carlo estimate of the pvalue.

